The paper uses a Walrasian two-period financial market model with informed and uninformed constant absolute risk averse … (CARA) rational investors and noise traders. The investors allocate their initial wealth between risky assets and risk …’ prediction coefficient but makes that of the uninformed investors diminish. Inflation does not affect rational investors’ risk …

One of the key components of financial risk management is risk measurement. This typically requires modeling … financial econometrics literature have developed several models based on Extreme Value Theory (EVT) to carry out these tasks …